OnMarketData

[GKonheiser]

What are the advantages of using OnMarketData over just processing OnBarUpdate on 1 Ticks?

[NinjaTrader_Jesse]

Hello,

One use of OnMarketData would be if you wanted to use a chart on a higher time frame than 1 tick.

For example if you have a 1 minute chart and want a specific calculation to happen every bar or 1 minute, meanwhile you have another calculation that you want to have happen for every incoming tick.

This just adds additional ways to process the incoming data and allows for calculations which otherwise would only happen when you select a specific type of chart.

I look forward to being of further assistance.

[bluelou]

On a 1-tick chart even 1 tick is considered a "bar" in NinjaTrader, assuming you're using CalculateOnBarClose = true. An NT bar is not closed until a new bar is open. Your NinjaScript won't recognize that new tick until the bar is 'closed' and another tick arrives. So, that means you get a delay of 1 tick.

If you want to trade on live market data, e.g., Level 1 data, the only way to do that that I'm aware of it is with OnMarketData().

Lastly, you really don't want to trade on ticks anyway since a tick is a trade that has already occurred. You want a quote, a bid or ask, since you want to get filled at a price being quoted, not one that has already occurred.

[GKonheiser]

Thats huge thank, it has potential to delay an entry. I will adjust my code accordingly. ; )

[koganam]

Thats huge thank, it has potential to delay an entry. I will adjust my code accordingly. ; )

You trade so fast and so tight that 1-tick delay would make a difference between making a profit and making a loss ?

[bluelou]

You trade so fast and so tight that 1-tick delay would make a difference between making a profit and making a loss ?

koganam has a fair point. NT really isn't appropriate for short-term systematic trading. You'll have to write your own fill algorithms and the inconsistencies between developing for the backtesting and live trading environments (and indicator/strategy) are abominable. You've been forewarned

[GKonheiser]

OK thanks for the heads up, not really that fast , approx 10 trades a day taking on average 3 ticks so any speed advantage is useful.

[bluelou]

OK thanks for the heads up, not really that fast , approx 10 trades a day taking on average 3 ticks so any speed advantage is useful.

FWIW, It will be difficult to get 3 ticks systematically on any retail platform. It will test well but may fail in live trading. You'll have to write a lot of custom execution logic (e.g., when to rest, when to cross ur limit orders). Also, you're almost guaranteed to be in the back of the queue due to latency so your order is susceptible to adverse selection.